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ISDA Equity Derivatives Definitions and Confirmations
 
ISDA Equity and Fund Definitions

Index Volatility Swap Matrix documents under the 2011 ISDA Equity Derivatives Definitions

(published September 15, 2015)

The Index Volatility Swap Matrix consolidates the terms of the master confirmation agreement forms previously published by ISDA to create a single set of rules that can be applied to both single and multi-exchange index volatility swap trades in open markets in Europe and the Americas.

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2011 ISDA Equity Derivatives Definitions and Appendix

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Appendix to the 2011 Equity Derivatives Definitions version 1/1.1 (December 1, 2011)
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Appendix to the 2011 Equity Derivatives Definitions version 2.0 (September 12, 2012)
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Version 2.0 of the Appendix to the 2011 Equity Derivatives Definitions introduces the following:

  • A revised Preamble, further refining the structure of the 2011 Equity Definitions that had been applied in version 1.0 and 1.1 of the Appendix.
  • Introduces IndxVarSwp-1 ED Transaction Type (Single/Multi-Exchange Index - OM - All Parties), an ED Transaction Type that documents index variance swap transactions in the Americas and Europe.

Appendix to the 2011 Equity Derivatives Definitions version 2.1 (April 10, 2013)
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Version 2.1 of the Appendix to the 2011 Equity Derivatives Definitions introduces the following:

  • Introduces IndxVarSwp-2 ED Transaction Type (Single/Multi - Exchange Index - OM - All Parties), an ED Transaction Type that documents index variance swap transactions in all open markets, including Asia and Japan. Note that IndxVarSwp-2 ED Transaction Type (Single/Multi-Exchange Index - OM - All Parties) contains trading disruption language that is different from IndxVarSwp-1 ED Transaction Type (Single/Multi-Exchange Index - OM - All Parties).
  • A restated IndxVarSwp-1 ED Transaction Type (Single/Multi-Exchange Index - OM - All Parties).

Appendix to the 2011 Equity Derivatives Definitions version 2.2 (August 29, 2013)
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Version 2.2 of the Appendix to the 2011 Equity Derivatives Definitions introduces the following:

  • Version 2.2 is substantially similar to the Variance matrices previously published by ISDA. Note that the changes in the document relate to two points: 1) a change in the economics set forth in the EO System to provide for Volatility Swap economics (as opposed to variance) and 2) a different definition of RVIND from that used in variance, adding a reference to the volatility of volatility per the Working Group. ).

Appendix to the 2011 Equity Derivatives Definitions version 2.3 (January 10, 2014)
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Version 2.3 of the Appendix to the 2011 Equity Derivatives Definitions introduces the following:

  • Introduces two new ED Transaction Types: ShrAccFwd-1 ED Transaction Type (Single Security - OM - All Parties), which documents accumulator transactions in all open markets, and ShrDecFwd-1 ED Transaction Type (Single Security - OM - All Parties), which documents decumulator transactions in all open markets.
  • A restatement of the other ED Transaction Types published in previous versions of the Appendix.

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Memorandum — Integration of Cash Equity Markets of the Tokyo Stock Exchange Inc. and the Osaka Securities Exchange Co., Ltd.

(published July 8, 2013)

Memorandum by Linklaters addressing successor issues under the 2002 ISDA Equity Definitions relating to the integration of the cash equity markets of the Tokyo Stock Exchange, Inc. and the Osaka Securities Exchange Co., Ltd.

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Memorandum — Integration of the Derivatives Markets of the Osaka Securities Exchange Co., Ltd. and the Tokyo Stock Exchange Inc.

(published March 5, 2014)

Memorandum by Linklaters addressing successor issues under the 2002 ISDA Equity Definitions relating to the integration of the derivatives markets of the Osaka Securities Exchange Co., Ltd. and the Tokyo Stock Exchange, Inc.

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Memorandum — Integration of Cash Equity Markets of the Tokyo Stock Exchange Inc. and the Osaka Securities Exchange Co., Ltd.

(published July 8, 2013)

Memorandum by Linklaters addressing successor issues under the 2002 ISDA Equity Definitions relating to the integration of the cash equity markets of the Tokyo Stock Exchange, Inc. and the Osaka Securities Exchange Co., Ltd.

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Equity Derivatives Supplement to IndxVarSwp-1 ED Transaction Type
(Single/Multi-Exchange Index - OM - All Parties)

(published October 15, 2012)

This Equity Derivatives Supplement to IndxVarSwp-1 ED Transaction Type (Single/Multi-Exchange Index - OM - All Parties) from the 2011 ISDA Equity Derivatives Definitions may be used to confirm equity derivatives transactions referencing the IndxVarSwp-1 equity matrix. It is comprised of two parts: 1) a Relationship Supplement, which documents relationship-level terms (previously documented in a Master Confirmation Agreement) and 2) a Transaction Supplement.

Per the terms set forth in the 2011 ISDA Equity Derivatives Definitions for this ED Transaction Type, this form provides all of the information that is to be agreed and specified by the parties prior to trading. For the sake of convenience, the form provides 1) free text fields, where the parties are to include text and 2) check-boxes, where the parties are to select from a set of elections. This version of the form restricts edits to these fields. If users would like to unlock the form, they may do so by changing the settings of the document. There is no password.

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2002 ISDA Equity Derivatives Definitions

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User's Guide to the 2002 ISDA Equity Derivatives Definitions

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Confirmations for use with the 2002 ISDA Equity Derivatives Definitions

This document provides eighteen forms of Confirmations for use with different types of equity derivative transactions, as contemplated in the 2002 ISDA Equity Derivative Definitions.

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French Translation of the 2002 ISDA Equity Derivatives Definitions (For Educational Purposes Only)

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2006 ISDA Fund Derivatives Definitions

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Equity Derivative Electronic Eligibility Matrix
(published December 1, 2010)

The Electronic Eligibility Matrix identifies products that are electronically eligible and therefore eligible for the industry electronic processing targets. The matrix is maintained by the EIG and will be published on a quarterly basis.

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BRIC40 Index Template
(published September 28, 2009)

This long form confirmation is for use with index option transactions which reference S&P BRIC40 Index. 

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European Equity MCA Depository Receipt Supplement Implementation Side Letter
(published January 31, 2008)

This side letter is designed to enable parties to implement the two depository receipt supplements to the 2002 ISDA Equity Derivatives Definitions that were published in 2007. The letter includes different annexes that may be included with the letter (as applicable) to implement the depository receipt supplements into various European equity derivatives master confirmation agreements. The letter provides standard fallbacks for selection of the 2007 Partial Lookthrough Depository Receipt Supplement or the 2007 Full Lookthrough Depository Receipt Supplement depending on the location of the underlying shares.

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2007 Partial Lookthrough Depository Receipt Supplement to the 2002 ISDA Equity Derivatives Definitions
(published December 7, 2007)

This supplement to the 2002 ISDA Equity Derivatives Definitions may be used in documenting equity derivatives transactions referencing depository receipts. This form is based on the 2007 Full Lookthrough Depository Receipt Supplement published by ISDA on September 17, 2007, but with a narrower scope of circumstances in which the transaction will look through to events affecting the shares underlying the depository receipts.

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2007 Full Lookthrough Depository Receipt Supplement to the 2002 Equity Derivatives Definitions
(published September 17, 2007)

This supplement to the 2002 Equity Derivatives Definitions may be used in documenting equity derivatives transactions referencing depository receipts. It is intended for use in particular where the parties may be hedging in the Underlying Shares and require the terms of the transaction to look through to events in respect of the Underlying Shares. Please note that ISDA also anticipates publishing a form of Partial Lookthrough Depository Receipt supplement, for intended use in transactions where the parties require less extensive lookthrough to the Underlying Shares.

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Asia Ex-Japan documentation

Updated Guidance on the Additional Provisions for Shares traded through the China Connect Service
(published on December 9, 2016)

In light of the launch of the Shenzhen-Hong Kong Stock Connect on December 5,2016, ISDA has updated the guidance notes (the "Guidance Notes") to the Additional Provisions for Shares trades though the China Connect Service (the "Additional Provisions") to clarify that the Additional Provisions can also be used for documenting cash-settled OTC derivatives transactions referencing certain "A" shares listed on the Shenzhen Stock Exchange traded through the China Stock Connect Service (as defined in section 8 of the document). Parties should exercise care when using these Additional Provisions to ensure that the terms in these Additional Provisions work together with other terms applicable to the relevant Transaction. In particular, parties should expect to make appropriate adjustments to these Additional Provisions in light of the terms of any ISDA master confirmation agreement or other bespoke master confirmation terms applicable to their Transaction.

Please note that the Additional Provisions included in this document remain unchanged, compared to the version published on October 14, 2014.

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Additional Provisions for Shares traded through the China Connect Service
(published on October 14, 2014)

This document is intended to be used for cash-settled over-the-counter derivatives transactions referencing certain "A" shares listed on the Shanghai Stock Exchange traded through the China Connect Service (as defined in section 8 of the document). Parties should exercise care when using these Additional Provisions to ensure that the terms in these Additional Provisions work together with other terms applicable to the relevant Transaction. In particular, parties should expect to make appropriate adjustments to these Additional Provisions in light of the terms of any ISDA master confirmation agreement or other bespoke master confirmation terms applicable to their Transaction.

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Representations for Taiwan Market Access Products
(published on November 11, 2013)

This document explains and sets out representations and undertakings for use by a party when entering into an ISDA Master Agreement or any other agreement with a counterparty in connection with listed or over-the-counter transactions and/or products which are linked to (i) securities traded on the Taiwan Stock Exchange or GreTai Securities Market ("Taiwan Listed Securities") , (ii) futures transactions which make reference to Taiwan Listed Securities or (iii) indices the components of which consist of Taiwan Listed Securities which would involve such party investing in Taiwan Listed Securities under its "foreign financial institutional investor" ("FINI") status according to the "Regulations Governing Investments in Securities by Overseas Chinese and Foreign Nationals."

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Representations for China Market Access Products
(published February 10, 2011)

This document sets out representations relating to the selling restriction of China market access products referencing A-shares, bonds or warrants listed on any stock exchange in the PRC, securities investment funds quoted in Renminbi or any other Renminbi denominated financial instruments in which a Qualified Foreign Institutional Investor is permitted to invest under the laws and regulations of the PRC.

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Second Revised 2007 AEJ Master Variance Swap Confirmation Agreement
(published December 28, 2009 Note: This supersedes version dated March 9, 2009)

The Second Revised 2007 AEJ Master Variance Swap Confirmation Agreement incorporates the requisite amendments to give effect to the Market Practice Statement issued by ISDA on December 28, 2009 in regard to the circumstances which would constitute a Market Disruption Event for single stock share variance swaps and single exchange index variance swaps involving Australian shares.  The Confirmation Agreement documents cash-settled index and share variance swap transactions with respect to an underlying index or share in Australia, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand, Singapore, Taiwan and Thailand.

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Amendment to the Revised 2007 AEJ Master Variance Swap Confirmation Agreement and the 2007 AEJ Master Variance Swap Confirmation Agreement
(published December 28, 2009)

Parties who have entered into the Revised 2007 AEJ Master Variance Swap Confirmation Agreement published on March 9, 2009 or the 2007 AEJ Master Variance Swap Confirmation Agreement published on February 12, 2007 can use this Amendment to incorporate the requisite amendments to give effect to the Market Practice Statement issued by ISDA on December 28, 2009 in regard to the circumstances which would constitute a Market Disruption Event for single stock share variance swaps and single exchange index variance swaps involving Australian shares. 

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Revised 2008 AEJ Master Equity Derivatives Confirmation Agreement
(published October 7, 2009 Note: This supersedes version dated March 9, 2009)

The Revised 2008 AEJ Master Equity Derivatives Confirmation Agreement incorporates Annex CMISO in addition to Annexes previously published.  The Confirmation Agreement contains the following annexes: the Multiple Exchange Index Annex; Annex CMISO, which documents to document index and share Option Transactions referencing closed markets; the Open Market Annex OMISO, which documents cash and physically-settled European and American style index and share options; and the Open Market Annex OMEFS, which documents cash-settled equity finance share swaps. Open market annexes reference underlying shares or indices in Australia, Hong Kong, New Zealand or Singapore; Closed market annexes reference underlying shares or indices in India, Indonesia, Korea, Malaysia, Taiwan and Thailand.

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AEJ Cash Settled Closed Markets Index Share Options Annex
(published October 7, 2009)

The purpose of this Closed Market Option General Terms Confirmation (this "CMISO General Terms Confirmation") is to document index and share Option Transactions referencing closed-markets entered into between counterparties under the Revised 2008 AEJ Master Equity Derivatives Confirmation Agreement.

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Revised ISDA AEJ Reference Price Source Matrix
(published June 25, 2009  Note: This supersedes version dated November 29, 2006)

If parties have executed the Second Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement or the Revised 2007 AEJ Master Variance Swap Confirmation Agreement or the Revised 2008 AEJ Master Equity Derivatives Confirmation Agreement (or any previous versions thereof), and if the Reference Price of the Transaction is listed in the Revised ISDA AEJ Reference Price Source Matrix as of the Trade Date, then the Reference Price Source contained therein with respect to such Reference Price currency shall be deemed to apply to the Transaction.

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Second Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement
(published March 9, 2009 Note: This supersedes version dated March 13, 2007)

The Second Revised 2005 AEJ (Asia Excluding Japan) Interdealer Master Equity Derivatives Confirmation Agreement incorporates the amendments that were made to the Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement by the 2009 ISDA AEJ Derivatives Protocol published by ISDA on March 9, 2009. The Confirmation Agreement is designed to document Index Option, Index Swap, Share Option and Share Swap Transactions with respect to underlying shares or indices in Australia, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand, Singapore, Taiwan and Thailand in the interdealer market.

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Revised 2007 AEJ Master Variance Swap Confirmation Agreement
(published March 9, 2009 Note: This supersedes version dated February 12, 2007)

The Revised 2007 AEJ Master Variance Swap Confirmation Agreement incorporates the amendments that were made to the 2007 AEJ Master Variance Swap Confirmation Agreement by the 2009 ISDA AEJ Derivatives Protocol published by ISDA on March 9, 2009.  The Confirmation Agreement documents cash-settled index and share variance swap transactions with respect to an underlying index or share in Australia, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand, Singapore and Taiwan.

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Revised 2008 AEJ Master Equity Derivatives Confirmation Agreement
(published March 9, 2009 Note: This supersedes version dated August 22, 2008)

The Revised 2008 AEJ Master Equity Derivatives Confirmation Agreement incorporates the amendments that were made to the 2008 AEJ Master Equity Derivatives Confirmation Agreement by the 2009 ISDA AEJ Derivatives Protocol published by ISDA on March 9, 2009.  The Confirmation Agreement contains the following annexes: the Multiple Exchange Index Annex, the Open Market Annex OMISO, which documents cash and physically-settled European and American style index and share options, and the Open Market Annex OMEFS, which documents cash-settled equity finance share swaps. All of the annexes to this agreement reference underlying shares or indices in Australia, Hong Kong, New Zealand or Singapore.

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Revised Additional Provisions for Use with Indian Underliers
(published November 28, 2008)

The revised Additional Provisions for Use with Indian Underliers makes changes to the original version published on 6 June 2005 to take into account amendments made to the Securities and Exchange Board of India (Foreign Institutional Investors) Regulations in May 2008.

The Amendment to Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement and 2007 AEJ Master Variance Swap Confirmation Agreement allows parties to bilaterally amend their existing Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement and 2007 AEJ Master Variance Swap Confirmation Agreement to update the references therein from the Additional Provisions published in 2005 to the revised version.


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2008 AEJ Master Equity Derivatives Confirmation Agreement
(published August 22, 2008)

The 2008 AEJ Master Equity Confirmation Agreement contains the following annexes: EFS Annex, which documents cash-settled equity finance share swaps, the Multiple Exchange Index Annex and an Open Market Annex OMISO, which documents cash and physically-settled European and American style index and share options. All of the annexes to this agreement reference underlying shares or indices in Australia, Hong Kong, New Zealand or Singapore.

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Amendment to Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement and 2007 AEJ Master Variance Swap Confirmation Agreement
(published August 11, 2008)

The Amendment revises the Settlement Price term of Annex SO (Share Option) of the Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement by fixing the Strike Price as the Settlement Price for Physically Settled Options. The Amendment also revises the Related Exchange term and the Market Disruption Event term of Annex SVS (Cash-settled Share Variance Swap) of the 2007 AEJ Master Variance Confirmation Agreement by determining Scheduled Trading Days with regard only to the Exchange and not the Related Exchange.

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2008 AEJ Master Equity Derivatives Confirmation Agreement
(published March 31, 2008)

The 2008 AEJ Master Equity Confirmation Agreement contains the Open Market EFS Annex which documents cash-settled equity finance share swaps referencing underlying shares in Australia, Hong Kong, New Zealand or Singapore

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2007 AEJ Master Variance Swap Confirmation Agreement
(published February 12, 2007)

The 2007 AEJ Master Variance Swap Confirmation Agreement documents index and share variance swap transactions with respect to an underlying index or share in Australia, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand, Singapore, Taiwan and Thailand.

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Amendment to the 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement
(published March 13, 2007 Note: This supersedes version dated November 29, 2006)

The Amendment will enable parties who have executed the 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement to amend Annex IO (Index Option) and SO (Share Option) of their existing 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement by inserting the date of the amendment on Exhibit I.

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Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement
(published March 13, 2007 Note: This supersedes version dated November 29, 2006)

The Revised 2005 AEJ (Asia Excluding Japan) Interdealer Master Equity Derivatives Confirmation Agreement amends Annex IO (Index Option) and SO (Share Option) of the 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement to facilitate electronic matching of transactions. The Confirmation Agreement is designed to document Index Option and Share Option Transactions with respect to underlying shares or indices in Australia, Hong Kong, India, Indonesia, Korea, Malaysia, New Zealand, Singapore, Taiwan and Thailand in the interdealer market.

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ISDA AEJ Reference Price Source Matrix
(published November 29, 2006)

If parties have executed the Amendment to 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement or the Revised 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement, and if the Reference Price of the Transaction is listed in the ISDA AEJ Reference Price Source Matrix as of the Trade Date, then the Reference Price Source contained therein with respect to such Reference Price currency shall be deemed to apply to the Transaction.

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Allen & Overy LLP Memo on Joint Calculation Agents
(published December 21, 2005)

This Memorandum by Allen & Overy discusses the Joint Calculation Agent provision in the  AEJ Master Equity Derivatives Confirmation and its impact on the enforceability of a Transaction.

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Additional Provisions for Use with Indian Underliers
(published June 6, 2005)

These additional representations and warranties are for use in conjunction with the 2005 AEJ Interdealer Master Equity Derivatives Confirmation Agreement, and can be applied by election in the General Terms Confirmation of each transaction type.

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Europe Documentation

2010 EMEA EM Interdealer Master Equity Derivatives Confirmation Agreement
(published November 23, 2010)

The 2010 EMEA EM Interdealer Master Equity Confirmation Agreement includes Annex ISEMO.  Annex ISEMO documents equity cash-settled index options and cash/physically-settled share option transactions with respect to an underlying index or share in Czech Republic, Egypt, Greece, Hungary, Israel, Kuwait, Poland, Qatar, Russia, South Africa, Turkey, the United Arab Emirates and any other country otherwise agreed between the parties

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Annex FVSS to the 2009 European Interdealer Master Equity Derivatives Confirmation Agreement
(published July 9, 2010)

Annex FVSS (Fair Value Interdealer Share Swap) documents interdealer fair value share swaps that reference an Exchange in a country specified under the terms of the 2009 European Interdealer Master Equity Derivatives Confirmation Agreement. 

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ANNEX IIS to the 2009 European Interdealer Master Equity Derivatives Confirmation Agreement
(published April 16, 2010)

Annex IIS documents interdealer index swap transactions referencing a European index.

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Annex IS and Component Security Index Annex to the 2007 European Master Equity Confirmation Agreement
(published December 15, 2009)

Annex IS provides documentation for Cash-settled Index Swaps. The Component Security Index Annex applies to a transaction unless otherwise specified in the Transaction Supplement.

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2009 European Interdealer Master Equity Derivatives Confirmation Agreement
(published August 4, 2009)

The 2009 European Interdealer Master Equity Confirmation Agreement includes Annex SS which documents equity finance Share Swap Transactions. Additional Annexes referenced in Exhibit I will be published when agreed by the market.

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ISDA Standard Terms Appendix for use with European Variance Option Transactions
(published January 27, 2009)

By incorporating the ISDA Standard Terms Appendix for use with European Variance Option Transactions into a Transaction Supplement under a Revised 2007 European Variance Swap Master Confirmation Agreement, the parties agree to amend such MCA to add the provisions of Annex IVO (Index Variance Option) and Annex SVO (Share Variance Option).

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Form of Amendment to European MCA
(published July 31, 2009)

This form of amendment removes Iceland from the definition of covered jurisdictions for (i) the 2007 European Master Equity Derivatives Confirmation Agreement (the "2007 European Master Equity Derivatives Confirmation Agreement") and (ii) the Revised 2007 European Variance Swap Master Confirmation Agreement (the "Revised 2007 European Variance Swap Master Confirmation Agreement" and together, with the 2007 European Master Equity Derivatives Confirmation Agreement, the "European MCAs"). Parties are free to utilize this form of amendment language to bilaterally amend their European MCA's.

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2007 European Master Equity Derivatives Confirmation Agreement
(published September 17, 2007)

This amended version includes Annex EFS (Cash-settled Equity Finance Share Swap).

The 2007 European Master Equity Confirmation Agreement documents option transactions with respect to a European index or share (includes Multiple Exchange Index Annex and Index/Share Option Annex) as well as cash-settled equity finance share swaps.

(Note: The Multiple Exchange Index Annex is intended to override the need to use Exhibit H in the User’s Guide to the 2002 ISDA Equity Derivatives Definitions (EuroStoxx Confirmation Definitions).

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Revised 2007 European Variance Swap Master Confirmation Agreement
(published, June 25, 2007)

(Note: this version supersedes version dated March 7, 2007)

This amended version includes changes to Annex SVS in respect of the application of Related Exchange / Exchange when determining a Scheduled Trading Day for Share Variance Swaps. Related Exchange is no longer taken into account for the determination of a Scheduled Trading Day for a Share Variance Swaps.

The 2007 European Variance Swap Master Confirmation Agreement is designed to document index and share variance swap transactions with respect to Covered Transactions. Covered Transactions are defined in the agreement as Share Variance Swap Transaction with an Exchange in a Specified Country and on a share (excluding American Depository Receipts and Global Depository Receipts) issued by an Issuer that is not a fund or similar collective investment scheme; or an Index Variance Swap Transaction with a Related Exchange in a Specified Country. Specified Countries are defined as Austria, Belgium, Denmark, Finland, France, Germany, Iceland, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland or the United Kingdom.

(Note: The Multiple Exchange Index Annex is intended to override the need to use Exhibit H in the User’s Guide to the 2002 ISDA Equity Derivatives Definitions (EuroStoxx Confirmation Definitions).

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European Dispersion Variance Swap General Terms Confirmation
(published December 2, 2008)

The Dispersion Variance Swap General Terms Confirmation/Annex DVS ("DVS General Terms Confirmation") is designed to document variance swap transactions composed of an Index Variance Swap Transaction and a Share Variance Swap Transaction composed of several Share Variance Swap Transactions. The DVS General Terms Confirmation is to be used with the Revised 2007 European Variance Swap Master Confirmation Agreement.

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European Master Equity Confirmation Agreement
(published May 10, 2007)

The 2007 European Master Equity Confirmation Agreement documents option transactions with respect to a European index or share (includes Multiple Exchange Index Annex and Index/Share Option Annex).

(Note: The Multiple Exchange Index Annex is intended to override the need to use Exhibit H in the User’s Guide to the 2002 ISDA Equity Derivatives Definitions (EuroStoxx Confirmation Definitions).

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2007 European Variance Swap Master Confirmation Agreement
(published March 7, 2007)

The 2007 European Variance Swap Master Confirmation Agreement is designed to document index and share variance swap transactions with respect to Covered Transactions. Covered Transactions are defined in the agreement as Share Variance Swap Transaction with an Exchange in a Specified Country and on a share (excluding American Depository Receipts and Global Depository Receipts) issued by an Issuer that is not a fund or similar collective investment scheme; or an Index Variance Swap Transaction with a Related Exchange in a Specified Country. Specified Countries are defined as Austria, Belgium, Denmark, Finland, France, Germany, Iceland, Ireland, Italy, Luxembourg, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland or the United Kingdom.

(Note: The Multiple Exchange Index Annex is intended to override the need to use Exhibit H in the User’s Guide to the 2002 ISDA Equity Derivatives Definitions (EuroStoxx Confirmation Definitions).

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Japan documentation

Revised 2008 Japanese Dividend Swap Master Confirmation Agreement
(published January 19, 2010) (Note: This supersedes version dated May 16, 2008)

The Revised 2008 Japanese Dividend Swap Master Confirmation Agreement (Annex IDS) is designed to document index dividend swap transactions based on a Japanese index.

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2008 Japanese Master Equity Derivatives Confirmation Agreement
(published July 24, 2008)

The 2008 Japanese Master Equity Derivatives Confirmation Agreement is designed to document Cash-settled Index Option Transactions with respect to a Japanese Index and Cash or Physically-settled Share Option Transactions with respect to Japanese Share

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2008 Japanese Dividend Swap Master Confirmation Agreement
(published May 16, 2008)

The 2008 Japanese Dividend Swap Master Confirmation Agreement (Annex IDS) is designed to document index dividend swap transactions based on a Japanese index.

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2006 Japan Master Variance Swap Confirmation Agreement
(published January 22, 2007)

The 2006 Japan Master Variance Swap Confirmation Agreement documents index and share variance swap transactions with respect to a Japanese index or share. Other than with regard to designation of the Calculation Agent, it is identical in terms to the 2006 Japan Interdealer Master Variance Swap Confirmation Agreement.

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Share Variance Swap Confirmation
(published December 21, 2006)

The Share Variance Swap Confirmation, to be used in conjunction with the 2006 Japan Interdealer Master Variance Swap Confirmation Agreement expands product coverage under the 2006 Japan Interdealer Master Variance Swap Confirmation Agreement to share variance swaps.

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2006 Japan Interdealer Master Variance Swap Confirmation Agreement
(Annex IVS published June 30, 2006, Annex SVS published December 21, 2006)

The 2006 Japan Interdealer Master Variance Swap Confirmation Agreement is designed to document index and share variance swap transactions with respect to a Japanese index or share.

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Confirmations for use with the 2002 ISDA Equity Derivatives Definitions - Japanese Inter-Dealer Market

The Confirmations for the Cash-settled Index Option Transaction with respect to a Japanese Index and the Physically-settled Share Option Transaction with respect to Japanese Shares are designed to be used for the Japanese inter-dealer market.

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2005 Japanese Interdealer Master Equity Derivatives Confirmation Agreement
(Revised April 2007)

The 2005 Japanese Interdealer Master Equity Derivatives Confirmation Agreement is designed to document Cash-settled Index Option Transactions with respect to a Japanese Index and Physically-settled Share Option Transactions with respect to Japanese Shares in the Japanese interdealer market.

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North America documentation

2009 Americas Master Equity Derivatives Confirmation Agreement
(published February 20, 2009 - updated August 5, 2009 and December 23, 2009)

The 2009 Americas Master Equity Derivatives Confirmation Agreement includes the following Annexes:  Annex CSSS documents cash settled single share swaps; Annex IS documents index swap transactions; Annex ISO documents index and share option transactions; Annex ETCIO documents cash-settled Exchange-traded Contract Index Options; and Annex DCSO documents Physically-settled Designated Contract Share Options. Annexes ETCIO and DCSO were previously published under the 2008 Americas Master Designated/Exchange-Traded Contract Option Confirmation Agreement.

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2008 Americas Master Designated/Exchange-Traded Contract Option Confirmation Agreement
(published March 28, 2008)

This new 2008 Americas Master Designated/Exchange-Traded Contract Option Confirmation Agreement is intended to document physically-settled share option transactions and cash-settled index option transactions that reference listed share options (Designated Contracts) and listed index options (Exchange-traded Contracts) on U.S. underliers. This Master Confirmation incorporates the 2002 Definitions and includes one General Terms Confirmation for Designated Contracts (Annex A) and Exchange-traded Contracts (Annex B), respectively, and is supplemented with a related Transaction Supplement for trade details.

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Stand-alone 2007 Americas Master Variance Swap Confirmation Agreement

This Stand-alone Agreement is for use where parties, such as hedge funds, do not have an equity Master Confirmation in place, but wish to take advantage of the Master Confirmation approach for index and share variance swap transactions

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Index and Share Variance Swap Annexes and Implementation Side Letter

The Index and Share Variance Swap Annexes expand market coverage under the 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement to index and share variance swap trading. This is a revised version, published January 30, 2007. The side letter presents various options to assist with implementation of the new annexes.

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Revised 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement
(this supersedes the 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement published on March 29, 2004).

The 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement was updated on August 11, 2006. A blackline is available to show updates from the March 29, 2004 version.

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2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement and March 2004 Canadian Supplement to the Master Confirmation

The 2004 Americas Interdealer Master Equity Derivatives Confirmation Agreement (the “Master Confirmation”) covers Index Options, Index Swaps and Index Basket Swaps, Share Options, and Share Swaps and Share Basket Swaps on U.S. underliers. ISDA has also published the March 2004 Canadian Supplement to the Master Confirmation for transactions on Canadian underliers. The publication of this Master Confirmation is intended to encourage wholesale adoption of the 2002 ISDA Equity Derivatives Definitions (the “2002 Definitions”) and to simultaneously address large numbers of unsigned equity derivatives confirmations amongst the dealer community. This Master Confirmation is not intended to be a master confirmation for OTC equity derivative transactions with entities that are not dealers, as many dealers’ elections under the 2002 Definitions differ depending on the particular risks that they are hedging. The Master Confirmation, which dealers will enter into bilaterally, incorporates the 2002 Definitions, is subject to the applicable ISDA Master Agreement between such dealers, includes four General Terms Confirmations (each an Annex) with agreed upon house elections, and is supplemented with a related Transaction Supplement including trade details. Dealers may also agree on a bilateral basis to subject outstanding trades to the Master Confirmation on a retroactive basis.

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Pan Asia Documentation

2009 Pan-Asia Interdealer Master Equity Derivatives Confirmation Agreement
(published September 11, 2009 - updated February 23, 2010)  

The 2009 Pan-Asia Interdealer Master Equity Derivatives Confirmation Agreement includes Annex PAISS which documents Pan-Asia Interdealer Share Swaps in the countries specified and otherwise as agreed by the parties and Annex PAIIS which documents Pan-Asia Interdealer Index Swaps in the countries specified and otherwise as agreed by the parties.

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Click here to view/download word (format) - Confirmation


Variance Swap Template Comparison Chart – by region

Variance Swap Comparison Chart
(published July 28, 2010)

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Superseded documentation

1996 ISDA Equity Derivatives Definitions
PDF Only

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Non-Member Price: $80.00
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1994 ISDA Equity Option Definitions

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Member Price: $15.00
Non-Member Price: $30.00
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1994 Confirmation of OTC Single Share Option Transaction (Physical Settlement)

The 1994 Confirmation of OTC Single Share Option Transaction is designed to facilitate the documentation of single share option transactions that settle by physical delivery.

Member Price: $7.00
Non-Member Price: $15.00
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1992 Confirmation for OTC Equity Index Option Transaction

The 1992 Confirmation for OTC Equity Index Option Transactions is designed to facilitate the documentation of equity index option transactions under the ISDA Master Agreement.

Member Price: $7.00
Non-Member Price: $15.00
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